Solvency II: CEIOPS publishes final advice on Level 2 Implementing Measures

CEIOPS  has published its third and final set of Advice on Solvency II Level 2 Implementing Measures following formal approval by CEIOPS Members, together with a cover letter  and a Feedback statement.

CEIOPS has now delivered on the European Commission’s request for technical advice of June 2009. More information is available in the CEIOPS Press Release.

Some observations from the Society's Solvency II Committee:

  • CEIOPS received 424 submissions from 126 stakeholders.  Consultation Paper CP70 (Market Risk calibration) received the most comments.
  • Capital charges have been reduced for market risks which will "result on average in a significant decrease of the market risk charge compared to the [charges proposed in the wave 3 advice]".  Capital charges will still be higher than they were under QIS4. 
  • For example, the stress for "other" equities has been reduced from 60% to 55% and the equity volatility parameter has been reduced also.  Similarly, interest rate stresses and volatilies have reduced.  Spread risk has been modified, with a reduction in charge on average.  The property risk charge has been refined, including introduction of a new sub-module - Mkt_sp_re.
  • Correlations have also been changed, resulting in a reduction in the Solvency Capital Requirement compared with the initial consultation.
  • We understand that CEIOPS intends to do further work on non-life and health underwriting calibrations and is collecting further data from member states.